回歸給出股票收益


1

我有這個回歸方程:

$$R_ {股票} = 3,28 \%+ 1,65 * R_ {市場}$$

其中$ R_ {stock} $是股票的預期收益,$ R_ {market} $是市場風險溢價。

我的一年期國債利率為4.8%,而30年期國債利率為6.4%。

  1. 最近一年股票的預期收益是多少?
  2. 如果我們要計算折現率以評估現金流量,那麼預期收益會變化嗎?如果是,怎麼辦?

我不知道我是否只假設使用$ R_ {market} $的匯率?

將(1)中的國債利率和(2)中的國債利率互換3.28%,以獲得預期收益。

那麼,僅通過假設或是否有找出方法,如何估算$ R_ {market} $?我是否讓$ \ beta $(1,65)變為1,因為我們以30年期國債利率計算,並且假設$ \ beta $長期波動於1。

2

The basic CAPM - which is what your regression estimates - says $$ R_S = R_f + \beta_S (R_{Market}-R_f) $$ where $$ \beta_S = \frac{Cov(R_M,R_S)}{Var(R_M)} $$ i.e. the return of a certain stock depends only on the correlation with the market portfolio.

For your pricing equation to work, you will need to have an idea about the expected market (excess) return. In practice, often the historical mean return of an index (such as S&P 500, ...) is used, but that is very far from perfect. Only that assuming seems like an even worse idea to me...

Keep in mind that, if you want to estimate the regression, you need to use excess returns for the market, otherwise your intercept will be the wrong one (though beta should be fine).